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Improved nonparametric confidence intervals in time series regressions
Romano, Joseph P.; Wolf, Michael
Universitat Pompeu Fabra. Departament d'Economia i Empresa
Condence intervals in econometric time series regressions suffer fromnotorious coverage problems. This is especially true when the dependencein the data is noticeable and sample sizes are small to moderate, as isoften the case in empirical studies. This paper suggests using thestudentized block bootstrap and discusses practical issues, such as thechoice of the block size. A particular data-dependent method is proposedto automate the method. As a side note, it is pointed out that symmetricconfidence intervals are preferred over equal-tailed ones, since theyexhibit improved coverage accuracy. The improvements in small sampleperformance are supported by a simulation study.
15-09-2005
Statistics, Econometrics and Quantitative Methods
bootstrap
confidence intervals
studentization
time series regressions
prewhitening
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